Measurement of Financial Risk Persistence
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References listed on IDEAS
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KeywordsPersistence; long memory; dependence; time series; frequency; critical exponents; fractional Brownian motion; (G)ARCH; risk measurement;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-FIN-2005-04-16 (Finance)
- NEP-RMG-2005-04-16 (Risk Management)
- NEP-SEA-2005-04-16 (South East Asia)
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